249
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FS
9 years 11 months ago
2016 
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitra...
179
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FS
9 years 11 months ago
2016 
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a...
164
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FS
9 years 11 months ago
2016 
We derive dual characterizations of two notions of weak time consistency for concave valuations, which are convex risk measures under a positive sign convention. Combined with a s...
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